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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 27 Nov 2009 05:23:12 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j.htm/, Retrieved Fri, 27 Nov 2009 13:23:46 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1,4 1,2 1 1,7 2,4 2 2,1 2 1,8 2,7 2,3 1,9 2 2,3 2,8 2,4 2,3 2,7 2,7 2,9 3 2,2 2,3 2,8 2,8 2,8 2,2 2,6 2,8 2,5 2,4 2,3 1,9 1,7 2 2,1 1,7 1,8 1,8 1,8 1,3 1,3 1,3 1,2 1,4 2,2 2,9 3,1 3,5 3,6 4,4 4,1 5,1 5,8 5,9 5,4 5,5 4,8 3,2 2,7

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.887385	6.148	0
2	0.738706	5.1179	3e-06
3	0.62839	4.3536	3.5e-05
4	0.512435	3.5503	0.000437
5	0.391158	2.71	0.004651
6	0.266197	1.8443	0.03566
7	0.156209	1.0822	0.142275
8	0.069756	0.4833	0.315547
9	-0.020422	-0.1415	0.444038
10	-0.087366	-0.6053	0.273918
11	-0.169017	-1.171	0.123692
12	-0.265147	-1.837	0.036203
13	-0.299519	-2.0751	0.021679
14	-0.281722	-1.9518	0.028403
15	-0.274866	-1.9043	0.031435
16	-0.281088	-1.9474	0.028673
17	-0.280292	-1.9419	0.029014
18	-0.262345	-1.8176	0.037687
19	-0.2504	-1.7348	0.044595
20	-0.253803	-1.7584	0.042527
21	-0.239632	-1.6602	0.051695
22	-0.220831	-1.53	0.066295
23	-0.209542	-1.4518	0.076538
24	-0.190996	-1.3233	0.096009
25	-0.155054	-1.0742	0.144042
26	-0.131612	-0.9118	0.183206
27	-0.108899	-0.7545	0.227125
28	-0.088902	-0.6159	0.270426
29	-0.077904	-0.5397	0.295937
30	-0.068041	-0.4714	0.319745
31	-0.056835	-0.3938	0.347749
32	-0.029737	-0.206	0.418823
33	-0.015316	-0.1061	0.457968
34	-0.023026	-0.1595	0.43696
35	-0.017049	-0.1181	0.453233
36	0.006429	0.0445	0.482329

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.887385	6.148	0
2	-0.229335	-1.5889	0.059327
3	0.12936	0.8962	0.187301
4	-0.165909	-1.1495	0.128033
5	-0.043163	-0.299	0.383101
6	-0.131686	-0.9123	0.183073
7	-0.002772	-0.0192	0.492379
8	-0.018174	-0.1259	0.450163
9	-0.111463	-0.7722	0.22188
10	0.064974	0.4502	0.327314
11	-0.246034	-1.7046	0.04737
12	-0.075829	-0.5254	0.300875
13	0.158188	1.096	0.139283
14	0.089907	0.6229	0.268151
15	-0.086244	-0.5975	0.276486
16	-0.062095	-0.4302	0.334485
17	-0.032989	-0.2286	0.410094
18	-0.042282	-0.2929	0.385416
19	-0.055168	-0.3822	0.351994
20	-0.056921	-0.3944	0.347532
21	0.04617	0.3199	0.375227
22	-0.039739	-0.2753	0.392126
23	-0.05805	-0.4022	0.344667
24	-0.073257	-0.5075	0.307051
25	0.099295	0.6879	0.247403
26	-0.038212	-0.2647	0.396172
27	0.051136	0.3543	0.362339
28	-0.109211	-0.7566	0.226483
29	-0.065227	-0.4519	0.326685
30	0.01765	0.1223	0.451593
31	-0.028509	-0.1975	0.42213
32	0.059485	0.4121	0.341042
33	-0.117391	-0.8133	0.210029
34	0.004916	0.0341	0.486487
35	-0.034405	-0.2384	0.406305
36	0.049214	0.341	0.36731

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j/1dken1259324591.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j/1dken1259324591.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j/2h1au1259324591.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259324624v81apvl5yoc5t1j/2h1au1259324591.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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